Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0052
Annualized Std Dev 0.0370
Annualized Sharpe (Rf=0%) 0.1397

Row

Daily Return Statistics

Close
Observations 3526.0000
NAs 1.0000
Minimum -0.0315
Quartile 1 -0.0009
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0010
Maximum 0.0313
SE Mean 0.0000
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0023
Skewness -0.7202
Kurtosis 31.7806

Downside Risk

Close
Semi Deviation 0.0017
Gain Deviation 0.0017
Loss Deviation 0.0020
Downside Deviation (MAR=210%) 0.0086
Downside Deviation (Rf=0%) 0.0017
Downside Deviation (0%) 0.0017
Maximum Drawdown 0.0787
Historical VaR (95%) -0.0034
Historical ES (95%) -0.0056
Modified VaR (95%) -0.0028
Modified ES (95%) -0.0028
From Trough To Depth Length To Trough Recovery
2015-04-27 2018-11-02 2020-04-23 -0.0787 1258 890 368
2010-11-05 2013-09-05 2015-01-15 -0.0659 1055 712 343
2008-01-23 2008-10-30 2008-11-25 -0.0454 215 197 18
2007-03-22 2007-06-12 2007-10-24 -0.0320 151 57 94
2020-05-08 2021-03-19 NA -0.0254 219 218 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA 0 -0.4 -0.7 0.2 -0.2 0.2 -0.1 -0.1 0.1 0.1 -1
2008 -0.3 0.5 -0.7 -0.3 0.2 -0.5 -0.5 -0.1 -0.7 0.7 0 0.2 -1.7
2009 0 0.1 -0.2 -0.4 -0.5 -0.2 0.6 -0.2 0 0.3 -0.6 -0.2 -1.4
2010 -0.4 -0.3 -0.5 0.1 -0.2 -0.3 0.1 -0.2 -0.2 -0.1 -3.1 0.5 -4.6
2011 -0.7 -0.2 -0.2 0.2 0.1 -0.4 -0.1 -0.1 0.1 -0.1 -0.2 0.1 -1.7
2012 -0.2 -0.3 -0.1 -0.2 -0.1 -0.1 -0.2 0.1 -0.1 -0.2 0 -0.1 -1.4
2013 -0.2 0 -0.1 -0.1 -0.2 0.1 -0.7 -0.1 -0.2 -0.5 0 -0.2 -2.1
2014 0.2 0 -0.3 0.1 -0.1 -0.3 0.2 0 0.3 0 -0.2 0.1 0.1
2015 0.1 0.3 0 -0.4 -0.2 -0.3 0.3 0 -0.1 0.2 -0.4 0.1 -0.4
2016 -0.3 -0.3 -0.2 0 -0.2 0 -0.2 -0.1 0 -0.2 -0.6 0.2 -2.1
2017 -0.3 -0.7 0.2 -0.4 -0.2 -0.1 -0.1 -0.3 -0.1 -0.2 -0.1 0.1 -2.1
2018 -0.5 0 0.1 -0.3 -0.5 0 -0.3 0.1 -0.3 -0.2 0.1 0.2 -1.6
2019 -0.5 -0.5 -0.6 -0.2 0.2 -0.3 0.1 0.1 -0.2 -0.2 0 0 -2.1
2020 0 0.2 -0.6 -0.2 -0.1 -0.1 0.1 -0.1 -0.2 0 -0.2 0 -1.2
2021 -0.1 0.1 0 NA NA NA NA NA NA NA NA NA -0.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart